By Angela McDaniels
Tacoma, Wash., March 29 - Credit Suisse AG, Nassau Branch priced $902,000 of 0% return enhanced notes due June 30, 2011 linked to the Euro Stoxx 50 index and the euro, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 300% of any appreciation of the index multiplied by the performance of the euro relative to the dollar, subject to a maximum return of 16.95%. Specifically, investors will receive (a) $1,000 multiplied by (b) one plus (i) the underlying index return multiplied by the currency return minus one multiplied by (ii) three.
If the index return multiplied by the performance of the euro is less than one, investors will be exposed to the decline.
The index return equals the final index level divided by the initial level, and the currency return equals the final spot rate divided by the initial spot rate. The spot rate expresses the number of dollars per euro. For both the index and the spot rate, the final level will be averaged over the five trading days ending June 27, 2011.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Credit Suisse AG, Nassau Branch
|
| Issue: | Return enhanced notes
|
| Underlyings: | Euro Stoxx 50 index, euro
|
| Amount: | $902,000
|
| Maturity: | June 30, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 300% of any appreciation of the index multiplied by the performance of the euro relative to the dollar, subject to a maximum return of 16.95%; exposure to any decline
|
| Initial levels: | 2,911.33 for index; 1.4144 dollars per euro
|
| Pricing date: | March 25
|
| Settlement date: | March 30
|
| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | 0.25%
|
| Cusip: | 22546E3B8
|
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